• Communications of the Korean Mathematical Society
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• v.30 no.3
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• pp.297-311
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• 2015

We present a robust and accurate boundary condition for pricing financial options that is a hybrid combination of the payoff-consistent extrapolation and the Dirichlet boundary conditions. The payoff-consistent extrapolation is an extrapolation which is based on the payoff profile. We apply the new hybrid boundary condition to the multi-dimensional Black-Scholes equations with a high correlation. Correlation terms in mixed derivatives make it more difficult to get stable numerical solutions. However, the proposed new boundary treatments guarantee the stability of the numerical solution with high correlation. To verify the excellence of the new boundary condition, we have several numerical tests such as higher dimensional problem and exotic option with nonlinear payoff. The numerical results demonstrate the robustness and accuracy of the proposed numerical scheme.

• Wind and Structures
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• v.7 no.6
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• pp.373-392
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• 2004

This paper presents a methodology for spatial extrapolation of wind-induced pressure time series from a corner bay to roof locations on a low building away from the corner through the application of proper orthogonal decomposition (POD). The approach is based on the concept that pressure time series in the far field can be approximated as a linear combination of a series of modes and principal coordinates, where the modes are extracted from the full roof pressure field of an aerodynamically similar building and the principal coordinates are calculated from data at the leading corner bay only. The reliability of the extrapolation for uplift time series in nine bays for a cornering wind direction was examined. It is shown that POD can extrapolate reasonably accurately to bays near the leading corner, given the first three modes, but the extrapolation degrades further from the corner bay as the spatial correlations decrease.

• Journal of the Optical Society of Korea
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• v.18 no.5
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• pp.507-516
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• 2014

We present a hybrid method for spectral reflectivity recovery, using 3D extrapolation as a supplemental method for 3D interpolation. The proposed 3D extrapolation is an extended version of 3D interpolation based on the barycentric algorithm. It is faster and more accurate than the conventional spectral-recovery techniques of principal-component analysis and nonnegative matrix transformation. Four different extrapolation techniques (based on nearest neighbors, circumcenters, in-centers, and centroids) are formulated and applied to recover spectral reflectivity. Under the standard conditions of a D65 illuminant and 1964 $10^{\circ}$ observer, all reflectivity data from 1269 Munsell color chips are successfully reconstructed. The superiority of the proposed method is demonstrated using statistical data to compare coefficients of correlation and determination. The proposed hybrid method can be applied for fast and accurate spectral reflectivity recovery in image processing.

• Structural Engineering and Mechanics
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• v.17 no.1
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• pp.113-140
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• 2004

A mixed eight-node hexahedral element formulated via the Hu-Washizu principle as well as the field extrapolation technique is presented. The mixed element with only three translational degrees of freedom at each node can provide extremely accurate and reliable performance for popular benchmark problems such as spacial beams, plates, shells as well as general three-dimensional elasticity problems. Numerical calculations also show that when extremely skewed and coarse meshes and nearly incompressible materials are used, the proposed mixed element can still possess excellent behaviour. The mixed formulation starts with introduction of a parallelepiped domain associated with the given general eight-node hexahedral element. Then, the assumed strain field at the nodal level is constructed via the Hu-Washizu variational principle for that associated parallelepiped domain. Finally, the assumed strain field at the nodal level of the given hexahedral element is established by using the field extrapolation technique, and then by using the trilinear shape functions the assumed strain field of the whole element domain is obtained. All matrices involved in establishing the element stiffness matrix can be evaluated analytically and expressed explicitly; however, a 24 by 24 matrix has to be inverted to construct the displacement extrapolation matrix. The proposed hexahedral element satisfies the patch test as long as the element with a shape of parallelepiped.

• Nuclear Engineering and Technology
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• v.50 no.7
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• pp.1043-1050
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• 2018

For an efficient Monte Carlo (MC) burnup analysis, an accurate high-order depletion scheme to consider the nonlinear flux variation in a coarse burnup-step interval is crucial accompanied with an accurate depletion equation solver. In a Seoul National University MC code, McCARD, the high-order depletion schemes of the quadratic depletion method (QDM) and the linear extrapolation/quadratic interpolation (LEQI) method and a depletion equation solver by the Chebyshev rational approximation method (CRAM) have been newly implemented in addition to the existing constant extrapolation/backward extrapolation (CEBE) method using the matrix exponential method (MEM) solver with substeps. In this paper, the quadratic extrapolation/quadratic interpolation (QEQI) method is proposed as a new high-order depletion scheme. In order to examine the effectiveness of the newly-implemented depletion modules in McCARD, four problems in the VERA depletion benchmarks are solved by CEBE/MEM, CEBE/CRAM, LEQI/MEM, QEQI/MEM, and QDM for gadolinium isotopes. From the comparisons, it is shown that the QEQI/MEM predicts ${k_{inf}}^{\prime}s$ most accurately among the test cases. In addition, statistical uncertainty propagation analyses for a VERA pin cell problem are conducted by the sensitivity and uncertainty and the stochastic sampling methods.

• Journal of the Korean Data and Information Science Society
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• v.13 no.2
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• pp.365-379
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• 2002

We apply the techniques of interpolation and extrapolation to derive a new estimator based on centered modified systematic sampling for the mean of a population which has a linear trend. The efficiency of the proposed estimation method is compared with that of various existing methods. An illustrative numerical example is given.

• Journal of applied mathematics & informatics
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• v.32 no.5_6
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• pp.567-584
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• 2014

In this paper, we consider approximation of eigenelements of a two dimensional compact integral operator with a smooth kernel by discrete collocation and iterated discrete collocation methods. By choosing numerical quadrature appropriately, we obtain convergence rates for gap between the spectral subspaces, and also we obtain superconvergence rates for eigenvalues and iterated eigenvectors. We then apply Richardson extrapolation to obtain further improved error bounds for the eigenvalues. Numerical examples are presented to illustrate theoretical estimates.

• Bulletin of the Korean Mathematical Society
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• v.52 no.3
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• pp.771-788
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• 2015

In this note we consider the parametric Marcinkiewicz integrals with mixed homogeneity along polynomials compound curves. Under the rather weakened size conditions on the integral kernels both on the unit sphere and in the radial direction, the $L^p$ bounds of such operators are given by an extrapolation argument. Some previous results are greatly extended and improved.

• Journal of the Korean Data and Information Science Society
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• v.10 no.1
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• pp.91-102
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• 1999

A new method is developed for estimating the mean of a population which has a linear trend. The suggested estimator is based on the balanced systematic sampling method and the concept of interpolation and extrapolation. The efficiency of the proposed method is compared with that of conventional methods.

• Proceedings of the KSME Conference
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• 2007.05b
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• pp.2684-2689
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• 2007

Non-equilibrium first order extrapolation boundary condition proposed by Guo et $al.^{(9)}$ proposed has a good application for complex geometries, a second order accuracy and a treatment on non-slip wall boundary condition easily. However it has a lack of the numerical stability from high Reynolds number. Guo et $al.^{(9)}$ substituted the density value of adjacent nodes for the density of boundary nodes. This procedure causes the numerical instability on the boundary. In this paper, we derived a procedure of density extrapolation and compared to previous results.